Francis A. Longstaff : Citation Profile

University of California-Los Angeles (UCLA)

27

H index

43

i10 index

6169

Citations

RESEARCH PRODUCTION:

37

Articles

35

Papers

RESEARCH ACTIVITY:

   35 years (1989 - 2024). See details.
   Cites by year: 176
   Journals where Francis A. Longstaff has often published
   Relations with other researchers
   Recent citing documents: 226.    Total self citations: 28 (0.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plo283
   Updated: 2025-04-12    RAS profile: 2023-02-24    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Francis A. Longstaff.

Is cited by:

Xiao, Tim (37)

Chernov, Mikhail (33)

Pelizzon, Loriana (26)

Guidolin, Massimo (23)

Stentoft, Lars (22)

Lo, Andrew (21)

Renne, Jean-Paul (20)

Monfort, Alain (20)

Augustin, Patrick (19)

Batten, Jonathan (19)

Zhou, Hao (18)

Cites to:

Pedersen, Lasse (34)

Vayanos, Dimitri (32)

Duffie, Darrell (32)

Singleton, Kenneth (23)

Campbell, John (18)

Reinhart, Carmen (17)

Rogoff, Kenneth (17)

merton, robert (14)

Amihud, Yakov (13)

Brunnermeier, Markus (12)

Ang, Andrew (10)

Main data

Production by document typearticlepaper19891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202402.557.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published1989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240255075100Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250200400600Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year19891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202405001,0001,500Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 27Most cited documents123456789101112131415161718192021222324252627282905001,0001,500Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040102030h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Francis A. Longstaff has published?

Journals with more than one article published# docs
Journal of Finance13
Journal of Financial Economics8
The Review of Financial Studies4
The Journal of Business3
Journal of Banking & Finance2
Journal of Financial and Quantitative Analysis2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc33

Recent works citing Francis A. Longstaff (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Financial Market Development and the Microstructure of Corporate Bond Markets in Africa: A Survey. (2024). Ojah, Kalu ; Oluoch, Wycliffe. In: The African Finance Journal. RePEc:afj:journl:v:26:y:2024:i:1:p:1-33.

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2024Beating the curse of dimensionality in options pricing and optimal stopping. (2018). Chen, Yilun ; Goldberg, David A. In: Papers. RePEc:arx:papers:1807.02227.

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2024Optimal Nested Simulation Experiment Design via Likelihood Ratio Method. (2020). Song, Eunhye ; ben Feng, Mingbin. In: Papers. RePEc:arx:papers:2008.13087.

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2024Solving optimal stopping problems with Deep Q-Learning. (2021). Ery, John ; Michel, Loris. In: Papers. RePEc:arx:papers:2101.09682.

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2024An efficient Monte Carlo method for utility-based pricing. (2021). Ferhoune, Massinissa ; Carassus, Laurence. In: Papers. RePEc:arx:papers:2105.08804.

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2024Sandwiched Volterra Volatility model: Markovian approximations and hedging. (2022). Yurchenko-Tytarenko, Anton ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.13054.

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2024Deep Signature Algorithm for Path-Dependent American option pricing. (2022). Bayraktar, Erhan ; Zhang, Zhaoyu ; Feng, QI. In: Papers. RePEc:arx:papers:2211.11691.

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2025A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2024Accelerated Computations of Sensitivities for xVA. (2022). Wolf, Felix ; Grzelak, Lech A ; Deelstra, Griselda. In: Papers. RePEc:arx:papers:2211.17026.

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2024Quantum-Inspired Tensor Neural Networks for Option Pricing. (2022). Tziritas, Kris ; Dominguez, Tomas ; Sharma, Shivam ; Jahromi, Saeed S ; Orus, Roman ; Palmer, Samuel ; Mugel, Samuel ; Sahin, Serkan ; Castellani, Pierre ; Hsing, Chia-Wei ; Aubert, Stephane ; Patel, Raj G ; Abid, Mustafa ; Porte, Vincent ; Michel, Christophe . In: Papers. RePEc:arx:papers:2212.14076.

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2024Simultaneous upper and lower bounds of American option prices with hedging via neural networks. (2023). Wu, Jia Hao ; Langren, Nicolas ; Guo, Ivan. In: Papers. RePEc:arx:papers:2302.12439.

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2024Application of Tensor Neural Networks to Pricing Bermudan Swaptions. (2023). Casanova, Francisco Gomez ; Ratnani, Abdelkader ; de Lope, Fernando ; Cadarso, Andrea ; Palmer, Samuel ; Orus, Roman ; Dib, Mohammad ; Mugel, Samuel ; Dominguez, Tomas ; Patel, Raj G ; Luis-Hita, Jorge ; Andr, Eva ; Hern, Senaida. In: Papers. RePEc:arx:papers:2304.09750.

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2025Finite Difference Solution Ansatz approach in Least-Squares Monte Carlo. (2023). Huo, Jiawei. In: Papers. RePEc:arx:papers:2305.09166.

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2024Swing Contract Pricing: A Parametric Approach with Adjoint Automatic Differentiation and Neural Networks. (2023). Yeo, Christian ; Pages, Gilles ; Lemaire, Vincent. In: Papers. RePEc:arx:papers:2306.03822.

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2024Regret-Optimal Federated Transfer Learning for Kernel Regression with Applications in American Option Pricing. (2023). Lucchi, Aurelien ; Grasselli, Matheus ; Krach, Florian ; Kratsios, Anastasis ; Yang, Xuwei. In: Papers. RePEc:arx:papers:2309.04557.

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2025Primal and dual optimal stopping with signatures. (2023). Pelizzari, Luca ; Bayer, Christian ; Schoenmakers, John. In: Papers. RePEc:arx:papers:2312.03444.

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2024Optimizing Neural Networks for Bermudan Option Pricing: Convergence Acceleration, Future Exposure Evaluation and Interpolation in Counterparty Credit Risk. (2024). Jain, Shashi ; Dhandapani, Vikranth Lokeshwar. In: Papers. RePEc:arx:papers:2402.15936.

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2025Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options. (2024). Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb ; Bayer, Christian. In: Papers. RePEc:arx:papers:2403.02832.

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2024On the Hull-White model with volatility smile for Valuation Adjustments. (2024). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2403.14841.

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2024Enhancing Valuation of Variable Annuities in L\evy Models with Stochastic Interest Rate. (2024). Zanette, Antonino ; Wei, Xiao ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:2404.07658.

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2024Deep Joint Learning valuation of Bermudan Swaptions. (2024). 'Alvaro Leitao, ; Casanova, Francisco G'Omez ; de Lope, Fernando. In: Papers. RePEc:arx:papers:2404.11257.

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2025Piercing the Veil of TVL: DeFi Reappraised. (2024). Feng, Yebo ; Luo, Yichen ; Tasca, Paolo ; Xu, Jiahua. In: Papers. RePEc:arx:papers:2404.11745.

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2024A pure dual approach for hedging Bermudan options. (2024). Lelong, J'Erome ; Kebaier, Ahmed ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2404.18761.

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2024Mathematics of Differential Machine Learning in Derivative Pricing and Hedging. (2024). Gomes, Pedro Duarte. In: Papers. RePEc:arx:papers:2405.01233.

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2024Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options. (2024). Li, Guanglian ; Yang, Jiefei. In: Papers. RePEc:arx:papers:2405.02570.

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2024Modelling Opaque Bilateral Market Dynamics in Financial Trading: Insights from a Multi-Agent Simulation Study. (2024). Walsh, Toby ; Vidler, Alicia. In: Papers. RePEc:arx:papers:2405.02849.

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2024Hedging American Put Options with Deep Reinforcement Learning. (2024). Lawryshyn, Yuri ; Schlener, Mario ; Dejesus, Julio ; Wredenhagen, Finn ; Pickard, Reilly. In: Papers. RePEc:arx:papers:2405.06774.

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2024Optimizing Deep Reinforcement Learning for American Put Option Hedging. (2024). Lawryshyn, Y ; Wredenhagen, F ; Pickard, Reilly. In: Papers. RePEc:arx:papers:2405.08602.

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2025Pricing American options under rough volatility using deep-signatures and signature-kernels. (2025). Pelizzari, Luca ; Bayer, Christian ; Zhu, Jia-Jie. In: Papers. RePEc:arx:papers:2501.06758.

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2024Decoding OTC Government Bond Market Liquidity: An ABM Model for Market Dynamics. (2024). Vidler, Alicia ; Walsh, Toby. In: Papers. RePEc:arx:papers:2501.16331.

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2025Axes that matter: PCA with a difference. (2025). Huge, Brian ; Savine, Antoine. In: Papers. RePEc:arx:papers:2503.06707.

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2024Who should buy structured investment products and why?. (2024). Pedio, Manuela ; Leonetti, Giacomo ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24222.

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2024Risk contagion in financial markets: A systematic review using bibliometric methods. (2024). Zhou, Yunyan ; Zhai, Lili ; Su, Fei ; Wang, Feifan ; Zhuang, Zixi. In: Australian Economic Papers. RePEc:bla:ausecp:v:63:y:2024:i:1:p:163-199.

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2024.

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2024.

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2024The Term Structure of Covered Interest Rate Parity Violations. (2024). Song, Dongho ; Chernov, Mikhail ; Schmid, Lukas ; Augustin, Patrick. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2077-2114.

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2024Treasury Richness. (2024). Longstaff, Francis A ; Fleckenstein, Matthias. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2797-2844.

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2024THE FACTORS AFFECTING CORPORATE BOND SPREADS. (2024). Michelson, Noam ; Vieder, Haim ; Graham-Rozen, Meital. In: Israel Economic Review. RePEc:boi:isrerv:v:22:y:2024:i:1:p:1-46.

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2024Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations. (2024). Legrenzi, Gabriella Deborah ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11019.

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2025Untangling Illiquidity: Optimal Asset Allocation with Private Asset Classes. (2025). Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:827.

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2024Mutual funds and safe government bonds: do returns matter?. (2024). Graziano, Marco ; Habib, Maurizio Michael. In: Working Paper Series. RePEc:ecb:ecbwps:20242931.

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2024Partisan conflict and corporate credit spreads: The role of political connection. (2024). Wang, Liyao. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992300175x.

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2024How does currency risk impact firms? New evidence from bank loan contracts. (2024). Hunter, Delroy M ; Francis, Bill B ; Bergbrant, Mikael C. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992400004x.

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2024Risks and risk premia in the US Treasury market. (2024). Sarno, Lucio ; Zinna, Gabriele ; Li, Junye. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s016518892300194x.

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2024Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles. (2024). He, Xin-Jiang ; Lin, Sha ; Pasricha, Puneet. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001962.

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2024Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle. (2024). Li, Xiaotong ; So, Jacky Yuk-Chow ; Fu, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001869.

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2024Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods. (2024). Haddou, Samira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000111.

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2024Dynamic volatility spillover and market emergency: Matching and forecasting. (2024). Chen, Jin ; Zhou, Wei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000354.

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2024Stability and risk contagion in the global sovereign CDS market under Russia-Ukraine conflict. (2024). Shen, Yiran ; Sun, Xiaolei ; Feng, Qianqian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001293.

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2024Examining the nexus between oil shocks and sovereign credit risk: Multidimensional insights from major oil exporters. (2024). Naifar, Nader. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400130x.

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2024Dynamic credit risk transmissions among global major industries: Evidence from the TVP-VAR spillover approach. (2024). Choi, Sun-Yong ; Lim, Seo-Yeon. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001761.

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2024Economic uncertainty and credit risk: Evidence from international corporate bonds. (2024). Valenzuela, Patricio ; Mella, Javier ; Claveria, Juan. In: Economics Letters. RePEc:eee:ecolet:v:237:y:2024:i:c:s0165176524001496.

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2024Present-biased preferences and the effect of illiquid assets. (2024). Tang, Rong ; Pu, Shi ; Chen, Shou. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s0165176524005056.

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2024Comovement and Global Imbalances of Current Accounts. (2024). Yang, Zheng ; Kim, Yoonbai ; Lee, Junsoo ; You, YU. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:4:s0939362524000219.

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2024Regulation and the demand for credit default swaps in experimental bond markets. (2024). Duffy, John ; Schram, Arthur ; Weber, Matthias. In: European Economic Review. RePEc:eee:eecrev:v:165:y:2024:i:c:s0014292124000746.

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2024An efficient and provable sequential quadratic programming method for American and swing option pricing. (2024). Ma, Jingtang ; Huang, Weizhang ; Shen, Jinye. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:1:p:19-35.

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2025Portfolio default losses driven by idiosyncratic risks. (2025). Yang, Yang ; Tong, Zhiwei ; Chen, Shaoying. In: European Journal of Operational Research. RePEc:eee:ejores:v:320:y:2025:i:3:p:765-776.

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2024Evaluation of tieback developments for marginal oil fields with timing flexibility. (2024). Ronning, Anders ; Haugsgjerd, Johannes H ; Haseldonckx, Sophie ; Hagspiel, Verena ; Fedorov, Semyon. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000525.

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2024Credit default swaps and corporate carbon emissions in Japan. (2024). Takaoka, Sumiko ; Okimoto, Tatsuyoshi. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002123.

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2024Interactions between sustainable bonds, renewable energy and other financial markets: A macroprudential perspective. (2024). Sheenan, Lisa ; Klein, Tony ; Schweers, Koen. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005474.

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2024Real options analysis for regional investment decisions of household PV-ESS in China. (2024). Cui, Yangyu ; Jiang, QI ; He, Lijun ; Fu, Yuting ; Yang, Changhui. In: Energy. RePEc:eee:energy:v:293:y:2024:i:c:s0360544224004973.

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2024Environmental and economic multi-objective real options analysis: Electrification choices for field development investment planning. (2024). Hagspiel, Verena ; Noshchenko, Olga. In: Energy. RePEc:eee:energy:v:295:y:2024:i:c:s0360544224008259.

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2024Hybrid offshore wind projects. Social desirability vs. incentives to invest. (2024). Linnerud, Kristin ; Srheim, Hanna. In: Energy. RePEc:eee:energy:v:312:y:2024:i:c:s0360544224033905.

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2024Sustainability and credit spreads in Japan. (2024). Okimoto, Tatsuyoshi ; Takaoka, Sumiko. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005689.

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2024State corporate tax changes and bond pricing: U.S. evidence. (2024). Zhu, Yun ; Wang, Haizhi ; Shen, Hao ; Zhao, Hong. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521923005732.

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2024Options illiquidity in an over-the-counter market. (2024). Ahn, Jungkyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002357.

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2024Betting on mean reversion in the VIX? Evidence from ETP flows. (2024). Nielsen, Ole Linnemann ; Posselt, Anders Merrild. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003533.

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2024Sovereign momentum currency returns. (2024). Lin, Ming-Tsung ; Calice, Giovanni. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924004046.

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2024Flight to safety, intermediation frictions, and US Treasury floating rate note prices. (2024). Ahn, Yongkil. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s154461232301245x.

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2024Determinants of credit default swap spread changes: The sell-side perspective. (2024). Joe, Denis Yongmin ; Park, Haerang ; Oh, Byungmin. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323008462.

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2024A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options. (2024). Stentoft, Lars ; Zhu, Xiaotian ; Reesor, Mark R. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004094.

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2024Time-varying co-movement of sovereign credit default swaps markets: Evidence from Asia-Pacific countries. (2024). Kim, Hyunseok ; Lee, Hyunchul. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s154461232401198x.

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2024Volatility feedback and dealership position: Evidence from the CDS Index, Corporate Bonds, and Government Bonds. (2024). Chen, Steven Shu-Hsiu. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012054.

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2024Search friction, liquidity risk, and bond misallocation. (2024). Liu, Shuo. In: Journal of Financial Markets. RePEc:eee:finmar:v:70:y:2024:i:c:s1386418124000302.

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2024The impact of COVID-19 on sovereign contagion. (2024). Moratis, Georgios ; Drakos, Anastasios. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s157230892300089x.

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2024Mispricing of debt expansion in the eurozone sovereign credit market. (2024). Zenios, Stavros A ; Milidonis, Andreas ; Lotfi, Somayyeh. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923001158.

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More than 100 citations found, this list is not complete...

Works by Francis A. Longstaff:

Year  ↓Title  ↓Type  ↓Cited  ↓
2009Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets In: American Economic Review.
[Full Text][Citation analysis]		article38
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article662
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 662		paper
1990 Pricing Options with Extendible Maturities: Analysis and Applications. In: Journal of Finance.
[Full Text][Citation analysis]		article27
1990 Time Varying Term Premia and Traditional Hypotheses about the Term Structure. In: Journal of Finance.
[Full Text][Citation analysis]		article11
1992 Dual Trading in Futures Markets. In: Journal of Finance.
[Full Text][Citation analysis]		article60
1992 Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model. In: Journal of Finance.
[Full Text][Citation analysis]		article306
1995 A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. In: Journal of Finance.
[Full Text][Citation analysis]		article777
1995 How Much Can Marketability Affect Security Values? In: Journal of Finance.
[Full Text][Citation analysis]		article70
2000Arbitrage and the Expectations Hypothesis In: Journal of Finance.
[Full Text][Citation analysis]		article20
2000Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program In: Journal of Finance.
[Full Text][Citation analysis]		article37
2001The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence In: Journal of Finance.
[Full Text][Citation analysis]		article41
2003Dynamic Asset Allocation with Event Risk In: Journal of Finance.
[Full Text][Citation analysis]		article191
2002Dynamic Asset Allocation With Event Risk.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 191		paper
2005Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market In: Journal of Finance.
[Full Text][Citation analysis]		article890
2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
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2007The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds In: Journal of Finance.
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1996Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate In: Real Estate Economics.
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2000The term structure of very short-term rates: New evidence for the expectations hypothesis In: Journal of Financial Economics.
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2001Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market In: Journal of Financial Economics.
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2003Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? In: Journal of Financial Economics.
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2002Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?.(2002) In: NBER Working Papers.
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2004Corporate earnings and the equity premium In: Journal of Financial Economics.
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2003Corporate Earnings and the Equity Premium.(2003) In: NBER Working Papers.
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2010The subprime credit crisis and contagion in financial markets In: Journal of Financial Economics.
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1994Electronic Screen Trading and the Transmission of Information: An Empirical Examination In: Journal of Financial Intermediation.
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1994Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect In: Financial Management.
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2003Two Trees: Asset Price Dynamics Induced by Market Clearing In: NBER Working Papers.
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2004Two Trees: Asset Price Dynamics Induced by Market Clearing.(2004) In: 2004 Meeting Papers.
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2004Financial Claustrophobia: Asset Pricing in Illiquid Markets In: NBER Working Papers.
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2004Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities In: NBER Working Papers.
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2009Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? In: NBER Working Papers.
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2009Valuing Toxic Assets: An Analysis of CDO Equity In: NBER Working Papers.
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2010Corporate Bond Default Risk: A 150-Year Perspective In: NBER Working Papers.
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2010Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle In: NBER Working Papers.
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2011Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe In: NBER Working Papers.
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2012Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective In: NBER Working Papers.
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2012Inflation Tracking Portfolios In: NBER Working Papers.
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2012Disagreement and Asset Prices In: NBER Working Papers.
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2013Deflation Risk In: NBER Working Papers.
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2014Corporate Taxes and Capital Structure: A Long-Term Historical Perspective In: NBER Working Papers.
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2014Valuing Thinly-Traded Assets In: NBER Working Papers.
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2015The U.S. Debt Restructuring of 1933: Consequences and Lessons In: NBER Working Papers.
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2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities In: NBER Working Papers.
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2017Asset Mispricing In: NBER Working Papers.
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2018Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints In: NBER Working Papers.
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2018Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes In: NBER Working Papers.
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2020The Market Risk Premium for Unsecured Consumer Credit Risk In: NBER Working Papers.
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2023Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes? In: NBER Working Papers.
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2024Is Maturity-Transformation Risk Priced into Bank Deposit Rates? In: NBER Working Papers.
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2002The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads In: NBER Working Papers.
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2002The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices In: NBER Working Papers.
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2004The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices.(2004) In: The Journal of Business.
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2001Valuing American Options by Simulation: A Simple Least-Squares Approach. In: The Review of Financial Studies.
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2001Optimal Portfolio Choice and the Valuation of Illiquid Securities. In: The Review of Financial Studies.
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